Benutzer: Gast  Login
Titel:

Method of Moment Estimation in Time-Changed Lévy Models

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Muhle-Karbe, J., Kallsen, J.
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
This paper introduces a method of moment estimator for the time-changed Lévy processes proposed by Carr, Geman, Madan and Yor (2003). By establishing that the returns sequence is strongly mixing with exponentially decreasing rate, we prove consistency and asymptotic normality of the resulting estimators. In addition, we fit parametrized versions of the model to real data and examine the quality of our estimators by performing a simulation study. Finally, we also show how to estimate the current...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
working paper
Jahr:
2009
Seitenangaben Beitrag:
-
Reviewed:
ja
Sprache:
en
Status:
Erstveröffentlichung
Format:
Text
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
 BibTeX
Versionen